Forecasting Portfolio Return Based on Bayesian Network Model

Joanna Olbrys

Chapter 11 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 157-171 from University of Lodz

Abstract: In the Chapter 11 Olbryś shows how to apply Bayesian network model to predict returns on stock portfolio. She tries to combine micro- and macroeconomic evidences with expert judgements to improve the forecasts of returns on empirical portfolio made of three construction companies quoted on the Warsaw Stock Exchange.

Keywords: Bayesian network model; Forecasting portfolio return; Warsaw Stock Exchange (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2009:n:07:ch:11:mon

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